Controlling implied markets during a stop loss trigger

ABSTRACT

A system mitigates the effects of a market spike caused by the triggering and the election of a conditional order in an automated matching system. Conditional orders submitted to a trading engine are evaluated to compare a price of an order to a predetermined price range. Matching of the orders may be delayed when the price of the orders lies outside of the predetermined price range. An opening price to be used by the trading engine is derived and a time interval is used to delay a matching of the orders until the opening price is within a predetermined price range up to a maximum delay time set by a control center. Implied spreads are also removed until other instruments within a trading unit are verified open.

PRIORITY CLAIM

This application is a continuation-in-part of U.S. patent applicationSer. No. 10/713,126, filed Nov. 14, 2003, which claims the benefit ofU.S. provisional patent application Ser. No. 60/490,145, filed Jul. 25,2003. The entire content of these applications are incorporated byreference in their entirety except that in the event of any inconsistentdisclosure from the present disclosure, the disclosure herein shall bedeemed to prevail.

BACKGROUND OF THE INVENTION

1. Technical Field

This invention relates to monitoring financial transactions, andparticularly, to mediating an unbalanced market.

2. Related Art

The speed in which trades are executed through electronic tradingsystems provide many benefits. Electronic trading systems can facilitatea large number of market transactions. The greater the number of markettransactions, the greater a market's liquidity. In liquid markets,prices are driven by competition; prices reflect a consensus of aninvestment's value; and trading systems provide a free and opendissemination of information.

While speed and efficiency in electronic markets can enhance traderwealth, these qualities can also increase the adverse affect of a tradethat triggers an election of buy or sell stop orders. In a futuresmarket that has few resting orders but many stop orders, an orderexecuted at a limit price can cause a cascading execution of buy or sellstop orders. The triggering and election of these stop orders can seemalmost instantaneous, lowering the value of a market in just a fewseconds.

A problem may occur when one or more trades bring many stop orders intothe market. A fast execution of these stop orders may prevent oppositeside orders from entering the market, preventing buyers from competingagainst other buyers and sellers from competing against other sellers.An onset of stop orders may enter the market in the following sequence:

1. A stop order, triggered by a trade, enters the market at a limitprice.

2. The limit price trades almost immediately.

3. A second stop order to buy, triggered by the last trade, enters themarket at a higher limit price (or a lower limit price if the order is astop order to sell).

4. This new limit price trades almost immediately.

5. A third stop order to buy, triggered by the last trade, enters themarket at a higher limit price (or a lower limit price if the order is astop order to sell) and so forth.

The order processing sequence occurs quickly; so quickly that tradersmay not be able to prevent the buy or sell stop orders from trading awayfrom the current market prices by entering opposite side orders.

The entire process may be illustrated through a hypothetical E-Mini S&P500 futures market (“ESM3”). In Table 1, an order entered on the bidside of the market for a quantity of 1 at a price of 873.75, trades. Asthe order trades, multiple stop orders enter the market, which in turntrade and bringing other stop orders into the market. In the ESM3market,

TABLE 1 ESM3 TON QTY BID ASK QTY TON TON 6 Stop (88075) 5 88475 87375 10TON 1 TON 7 Stop (87875) 5 88475 87475 5 TON 2 TON 8 Stop (87825) 588325 87675 5 TON 3 TON 9 Stop (87675) 5 88475 87900 1 TON 4 TON 10 Stop(87525) 5 88475 88075 1 TON 5 TON 11 Stop (87375) 10 87900 TON 12 Stop(87375) 10 87675 Incoming 1 87375

-   -   Trade 1 Incoming (1-lot) trades with Trade Order Number (TON) 1        (1-lot) at 873.75;    -   TON 12-Stop (87375), TON 11-Stop (87375) are triggered by Trade        1;    -   Trade 2 TON 12 (9-lot) trades with TON 1 (9-lot) at 873.75;    -   Trade 3 TON 12 (1-lot) trades with TON 2 (1-lot) at 874.75;    -   Trade 4 TON 11 (4-lot) trades with TON 2 (4-lot) at 874.75;    -   Trade 5 TON 11 (5-lot) trades with TON 3 (5-lot) at 876.75;    -   TON 10-Stop (87525), TON 9-Stop (87675) are triggered by Trade        5;    -   Trade 6 TON 11 (1-lot) trades with TON 4 (1-lot) at 879.00;    -   TON 8-Stop (87825) and TON 7-Stop (87875) are triggered by Trade        6.    -   Trade 7 TON 10 (1-lot) trades with TON 5 (1-lot) at 880.75; and    -   TON 6-Stop (88075) is triggered by Trade 7.

After the cascading triggers of stop orders trade, the final restingprice of the market drops to 884.75.

TABLE 2 ESM3 QTY BID ASK QTY 19 88475 5 88325

To mitigate the harmful effects of a cascading trigger of stop orders,some exchanges have adopted policies and procedures that, in theappropriate case, permit the cancellation or busting of selected trades.However, the cancellation or busting of trades does not occursimultaneously and is not in the best interest of market participants.An exchange must first identify the problem and then decide on asolution.

In the hypothetical E-Mini S&P 500 futures market, first the exchangemust determine what caused the market movement. Once that problem isdiscovered, the exchange would then have to decide if the marketmovement lies outside of a “no-bust range.” In a “no-bust range,” tradesexecuted within a price range may not be subject to cancellation, evenif executed in error. Trades executed at prices outside of theexchange's “no-bust range” are considered as quite possibly being beyondnormal market forces. Considering the high interdependence of manymarkets, disruptions may occur in other related markets such as theNasdaq-100 Index or a larger S&P 500 futures contract that are highlycorrelated to the hypothetical E-Mini S&P 500.

While such decisions are considered, traders are exposed to seriousmarket risk until a decision is made and until they are notified of thedecision. Furthermore, traders will not know if their gains or loseswill be reversed. Traders that were short before the cascade of stoporder triggers occurred and bought at the bottom of the market may notrealize expected gains. Similarly, traders that went long after themarket dip could lose their expected gains. Because gains and loses maydisappear the instant an exchange announces that trades will be busted,some traders will not spend unrealized money on new trades. Othertraders may be forced out of the market until the decision to busttrades is reached to avoid an unexpected margin call.

Another problem may occur when a stop loss trigger occurs in more thanone market with a same or overlapping time period. In particular,products may be linked with each other such that movement in the marketfor one product may affect movement in the market for one or more otherproducts. In addition, a product may form one or more legs of an impliedspread market. An implied spread is a difference between two prices,such as a difference between futures prices for two related products.Implied spreads may add additional contracts to the market where therewould otherwise have been less activity for products. Whereas anoutright order is a real order for a product, an implied spread ordermay be generated by the electronic trading system based on thecombination of outright orders or spreads that are pending in theelectronic trading system. A spread may provide a market where astrategy trade can be made by leveraging liquidity in component markets.The electronic trading system may identify an implied spread order bycombining outright orders for related products. Examples of impliedspreads include Implied In, Implied Out, Calendar Spreads, ButterflySpreads, Crack Spreads and other strategy types.

Because the implied spread market pricing is determined by pricing ofthe products that make up legs of implied spread orders, a stop losstrigger in one product of an implied spread could adversely affect theimplied spread market. In addition, since the markets for products areoften linked, a stop loss trigger may occur for more than one product inthe same time period. When this occurs, the implied spread market basedon these products may be adversely affected.

The present invention is directed to a system and method that overcomesome of these potential drawbacks in the prior art.

SUMMARY

The present invention is defined by the following claims. Thisdescription summarizes some aspects of the present embodiments andshould not be used to limit the claims.

A system mitigates a spike caused by a triggering of conditional ordersfor products within a trading unit in an automated matching system. Thesystem includes evaluation logic, delay logic, pricing logic, timinglogic, and verification logic. The evaluation logic monitors orderssubmitted to an automated trading engine. The evaluation logic comparesan execution price of a conditional order to a predetermined pricerange. The delay logic delays matching orders submitted to the automatedtrading engine when the execution price of the order lies outside of thepredetermined price range. The pricing logic derives an opening price tobe used by the automated trading engine. The timing logic measures atime interval used to delay a matching of the orders until the openingprice is within a second predetermined price range or an interval oftime lapses. The verification logic delays restarting a matching ofimplied orders until the products within the trading unit are verifiedas not in a stop loss condition.

A method of mitigating a spike caused by a triggering of conditionalorders for products within a trading unit includes monitoring orderssubmitted to the automated trading engine. The method compares anexecution price of a conditional order to a predetermined price rangeand delays the matching of orders submitted to the automated tradingengine when an execution price of the order lies outside of thepredetermined price range. The method derives an opening price to beused by the automated trading engine; and measures the time intervalthat delays the matching of the orders until the opening price is withina second predetermined price range or a time interval lapses. The methodverifies that products within the trading unit are not in a stop losscondition and delays the matching of the implied orders until the otherproducts within the trading unit are not in a stop loss condition. Themethod may be repeated to ensure that the opening price reflects acurrent market movement.

An alternative or additional embodiment includes a matching engine. Whena matched order changes a last traded price level, a matching enginechecks a stop order book to determine if any new stop orders can beintroduced into the market. When a difference between an original priceand a currently traded price caused by a stop order execution reaches apredetermined threshold, the matching engine sends a command to reserve,or temporarily suspend matching, for a predetermined period of time,thus allowing opposite side orders to enter the system in response tothis event.

While trading is suspended, an indicative opening price (IOP) iscalculated and stop orders, resting orders, and newly arriving ordersresolve into a single price opening. In this embodiment, the singleprice opening may use pre-opening and circuit breaker logic used inexchanges. The nature of this opening is such that stop orders, oncesynthetically introduced during a reserved or pre-opening state, arefilled in a limit price priority sequence instead of in the triggerprice sequence used in some continuous trading systems. The impliedspreads having at least one common leg with the reserved market aredisabled until all markets within the associated trading unit areconfirmed open, or not held in reserve. This effectively breaks a stoporder ladder for all the reserved products within a trading unit, aswell as all implied spreads based off those products. Each individualmarket in the trading unit that is not reserved may still trade outrightorders in a non-implied fashion during the window when the impliedspreads are disabled.

An alternative or additional method checks the value of a single priceopening and compares the price to the last traded price to verify thatthe price is within the previously specified threshold. If it is notwithin the threshold, another timing window will lapse and the methodcheck is repeated at a second predetermined threshold, such as twice apredetermined threshold, etc. After a predetermined or programmed numberof iterations of timing windows lapses or a manual intervention occurs,the product opens and the matching engine matches orders regardless of aprice movement. Any implied spreads based on the product are disableduntil all products within the associated trading unit are confirmedopen, or not held in reserve.

Further aspects and advantages of the invention are described below inconjunction with the present embodiments.

BRIEF DESCRIPTION OF THE DRAWINGS

The system may be better understood with reference to the followingdrawings and description. The components in the figures are notnecessarily to scale, emphasis instead being placed upon illustratingthe principles of the invention. Moreover, in the figures, likereferenced numerals designate corresponding parts throughout thedifferent views.

FIG. 1 is a system diagram encompassing a present embodiment.

FIG. 2 is a block diagram of a trade evaluation system of FIG. 1.

FIG. 3 is a block diagram of an alternative trade evaluation system ofFIG. 1.

FIG. 4 is a block diagram of FIG. 1.

FIG. 5 is a flow diagram of an embodiment.

DETAILED DESCRIPTION OF THE PREFERRED EMBODIMENTS

The system mitigates or prevents market spikes due to the triggering,election and trading of conditional orders. The system includes anautomated trading engine that performs a verification of a tradableconditional order that is triggered, to ensure that a traded price willnot violate a predetermined trade threshold or existing exchangematching rules. If a potential trade price lies outside of the tradethreshold, the instrument is placed in a reserved state allowing ordersto be entered, modified, and/or cancelled. Implied spreads that areresting on the order book based off or having a common leg with theinstrument held in reserve are disabled so only non-implied outrightorders can match on the remaining unreserved instruments in the tradingunit.

While an instrument may not trade when it is reserved, an indicativeopening price of that instrument may be derived and disseminated to themarket. The indicative opening price may reflect the price theinstrument would be trading at if the market were open. Placing aninstrument in a reserved state allows additional orders to be enteredinto the market from market participants. The additional orders mayadjust the indicative opening price to a level that reflects buyerscompeting with other buyers and sellers vying against other sellers. Thepresent embodiments may suspend trading until the market is adjustedwithin a threshold range, and/or when a period of time lapses. Theperiod of time may vary in length in relation to the time of day, theproduct traded, market volatility and/or any other relevant marketcondition or combination of market conditions. Similarly, the thresholdrange may vary by the product and/or the time of day.

Before the implied spreading is re-enabled, the system may examine otherinstruments within the associated trading unit to verify that the otherinstruments are not in reserve. If the other instruments in the tradingunit are in reserve, the system may delay matching the implied spreadorders until the other instruments are not in reserve. When the systemverifies that the other instruments are not in reserve, the impliedspread prices are repopulated, an implied opening takes place, and fullimplied trading is re-enabled.

FIG. 1 is a system diagram encompassing a present embodiment. The figureillustrates a hub-and-spoke system, wherein each resource, application,or order flows through a single entity (e.g., the hub 114) before beingreceived by servers 110-112. In this embodiment, the hub 114 and theservers 102-112 may be integrated into a single server or comprise aserver cluster made up of a group of independent computers that worktogether as a single system but present the appearance of a singleserver to one or more clients.

In FIG. 1, the clients are illustrated as interfaces 120-126, and one ormore networks such as a wide area network (“WAN”), a local area network(“LAN”), a ring network, a token ring network, a bus network, 128 and130, etc. Other peripheral devices may be coupled to hub 114, such as aprinter, a speaker, and/or any other device.

Preferably, the hub 114 comprises a management server. The managementserver receives, converts, and transfers data in a form compatible withprotocols used by servers 110-112, a communication link 116, theinterfaces 120-126, and/or the networks 128 and 130. The interfaces mayinclude an application programming interface (an “API”) 124, a datainterface 122, a market data interface 120, and/or other interfaces 126,for example. Preferably, the market data interface 120 provides quotevendors with access to selected output disseminated from the hub 114.

In FIG. 1, the hub 114 provides routing control to a trade matchingsystem, such as an automated trading engine shown as servers 110 and112. When orders are matched automatically by a matching algorithm orsystem within one or both of the servers 110 and/or 112, preferably thedetails of the trade and information of interest to the market aredisseminated to quote vendors and trade participants that include thebuyers and the sellers.

Preferably, the trade evaluation system 118, shown as servers 102-108 inFIG. 1 interfaces the hub 114. In the embodiment of FIG. 2, the tradeevaluation system 118 may include an order book manager 202, an orderprocessor 204, a spike control processor 206, a reserve market processor208, an open market processor 210, and an open implied market processor212. In FIG. 3, the trade evaluation system 118 may include evaluationlogic 306, delay logic 308, pricing logic 310, timing logic 312 andverification logic 314. Preferably, the evaluation logic 306 and theorder processor 204 calculate a price threshold, or a price that extendsabove or below a selected or a theoretical price. Such a threshold orinterval may be fixed within a number of ticks above and below a lasttraded price. The threshold or interval may vary by product, instrument,contract, or other relevant market considerations.

When the system is used in a futures exchange, the price threshold orrange may comprise a no-bust range that defines a price interval withinwhich transactions that fall within that interval are not subject tocancellation by the exchange. Preferably, trades that fall within theno-bust range do not have a significant adverse effect on the market,and therefore, the trade stands even in error. In these embodiments, thetrades that fall within the no-bust range cannot be cancelled byagreement. In other embodiments, trades that fall within the no-bustrange may be cancelled by an agreement between market participants.

Preferably, the market data interfaces 120, the data interfaces 122, thenetworks 128 and 130, the APIs 124 and the other interfaces 126 providemarket participants, quote vendors, and others with real and/or delayedtime access to trade data. The trade data can include investment pricessuch as futures contract prices, settlement prices, bids, offers, andother exchange related or derived information. In some embodiments,inter-process communication methods, such as a Dynamic Data Exchange(“DDE”) and/or an Object Linking and Embedding (“OLE”) are used toexchange data and commands between two or more servers or applicationsthat run simultaneously.

As shown in FIG. 2, the trade evaluation system 118 includes an orderbook manager 202, an order processor 204, a spike control processor 206,a reserve market processor 208, an open market processor 210, and anopen implied market processor 212. Preferably, orders flow into theorder processor 204 and are maintained by the order book manager 202.The order book manager 202 may maintain the exchange's order books,manage communication with an automated trading engine, and allow anexchange administrator to establish order filters (e.g., tradingauthorizations, instrument access, price bands, trading limits, etc.).

The order book manager 202 may also retain a predetermined or aprogrammable parameter used by order process logic or the orderprocessor 204. In this embodiment, instrument parameters are stored in atable of rows and columns. In another embodiment, the parameters arestored in a data structure comprising a list of entries that use aunique key to identify each entry. The data structure may include a setof related values such as a linked list that use a common indexingscheme. In these embodiments, an instrument is reserved when theinstrument is stored in a data table or data structure.

Preferably, parameters are initialized on start up of an automatedtrading engine and are maintained for a predetermined period of timesuch as a trading week. When a conditional order is triggered in afutures market, such as a stop order that enters the market at a limitor market price, the order processor 204 compares an execution price ofthe stop order to a predetermined price threshold such as a no-bustrange. Preferably, this comparison determines if the transaction may becompleted. If an execution price lies outside of the predetermined pricethreshold, the order processor 204 notifies the spike control processor206.

Once notified, the spike control processor 206 reserves the instrumentthrough a reserve market processor 208 and activates a verificationtimer. The spike control processor 206 may also reserve implied marketsrelated to or based off the reserved instrument. Implied markets mayinclude orders for implied spreads that include legs for relatedproducts and instruments. The verification timer may measure a timeinterval that varies in length in relation to a time of day, a product,a trader's location, market volatility, and/or any other relevant marketconditions or combination of market conditions. At the end of an initialtime period, the spike control processor 206 compares an indicativeopening price to the predetermined price threshold. If the indicativeopening price is above/below the predetermined threshold, theverification timer is reactivated for an additional iteration that mayvary with one or more market conditions. In this embodiment, theindicative opening price is a changing price that may be based on anindicative trade, a better bid, or a better offer. Similarly, apredetermined price threshold may comprise a dynamic price range thatchanges with each iteration.

The spike control processor 206 will reserve a market unless theindicative opening price lies within the predetermined price threshold,a predetermined number of iterations or time periods lapse, or a manualintervention occurs. When one of those conditions occurs, the spikecontrol processor 206 notifies the open market processor 210 to open themarket. The spike control processor 206 will also reserve an impliedmarket related to or based off a reserved instrument until all theproducts within an associated trading unit are not in reserve. Once allthe products within an associated trading unit of an implied spread arenot in reserve, the spike control processor 206 notifies the openimplied market processor 212 to open the implied market.

One variable utilized by the spike control processor 206 identifies theduration that an instrument may be held in reserve. A price verificationtime variable is invoked and a timer activated when the order processor204 invokes the spike control processor 206. The price verification timevariable comprises a programmable or a constant time value.

The spike control processor 206 also uses a price iteration variable.The price iteration variable comprises a programmable multiplier.Preferably, the product of the price iteration variable and priceverification time variable calculates a maximum length of time aninstrument may remain in a reserved state. If the price verificationtime variable is five seconds and the price iteration variable iseleven, the maximum time the market may be in a reserved state isfifty-five seconds. The time variables are initialized on start up andare maintained for a length of time, such as a trading week. If thevariables are changed before the period lapses, such as in the middle ofa trading week, the variables may be update in a real or a delayed time.

Another embodiment of the trade evaluation system 118 shown in FIG. 3couples an automated trading engine 110 and 112. In this embodiment, thetrade evaluation system includes evaluation logic 306, delay logic 308,pricing logic 310, timing logic 312, and verification logic 314.Preferably, the evaluation logic 306 monitors orders submitted to anautomated matching system or automated trading engine 110 and 112. Theevaluation logic 306 may compare an execution price of a conditionalorder such as a stop order to a predetermined price range. Preferably,the price ranges reflects a range of prices that extend above and belowan actual or synthetic market price. The price range may differ byproduct, may be fixed within a number of ticks above and below an actualor synthetic market price, or may vary above and below an actual orsynthetic market price. Additionally, a synthetic no bust range may alsobe used including the no bust ranges disclosed in U.S. application Ser.No. 10/405,025 entitled System and Method for Monitoring Trades of aNo-Bust Range in an Electronic Trading System, which is incorporated byreference in its entirety.

While in some embodiments price comparisons occur in delayed or batchtime, preferably the comparison occurs in real-time, such as within anarrow time period after a potential trade would occur. If the price ofthe trade is within the price range, the trade stands and an opencontinuous trading is maintained. If the price of the trade caused bythe execution of conditional orders falls outside of the price range,the evaluation logic 306 places the product into a reserved state. Uponreservation of the product, the delay logic 308 determines a maximumtime the market may remain in a reserved state.

Pricing logic 310 derives an opening price at which a product wouldtrade upon the opening of the market or an equilibrium price that fallssubstantially within the overlap of the pending bid and offer prices.The pricing logic 310 calculates opening prices upon demand, indelayed-time, or in real-time as orders are received. The delay logic308 delays the matching of orders submitted to the automated tradingengine 110 and 112. The delay will reserve a product until an openingprice lies within a price range, a period of time lapses, or anautomated or a manual intervention occurs. Price ranges, delay, and/orthe measure of time are retained in an audit trail and/or memory coupledto or resident to the evaluation system 118. The tracking and/or storageof one or more of these values can preserve market integrity and allowan exchange to review an event.

An instrument of an implied spread order may also be held in reserve.Before the implied matching is re-enabled, the verification logic 314may look at the other instruments in the trading unit to verify that theother instruments within the trading unit are not held in reserve. Atrading unit may include related products and instruments, and theorders for these other instruments may be used to populate impliedspread markets. The relationship of the products and instruments may bestored within a database within the trading system, and the verificationlogic 314 may access the database to determine which products andinstruments may be part of an implied spread trading unit. When theverification logic 314 determines that no other instruments within thetrading unit are held in reserve, the implied spread tables for thetrading unit are re-populated. If the verification logic 314 identifiesat least one other instrument of the trading unit held in reserve, theverification logic 314 will delay the matching of implied spread ordersuntil the reserve for all instruments within the trading unit is removed

As shown in FIG. 4, one or more of the components that comprise thetrade evaluation system 118 of FIGS. 2 and/or 3 may couple a controlcenter 402 and the trade matching system 110 and 112. Preferably, thetrade matching system 110 and 112 uses one or more matching systems ormethods, such as a “first in, first out” (“FIFO”), an allocation, ahybrid price/time priority, such as a Lead Market Maker (“LMM”), forexample, or any other matching systems or methods to automatically matchorders. Once the details of the orders are entered through a userinterface 404, preferably, the trade matching system 110 and 112executes the trade and transmits matched trade data (e.g., instrumenttype, the price, the quantity, the buyer, the seller, etc.) to the tradeevaluation system 118 and the user interface 404. The trade matchingsystem 110 and 112 also transmits matched trade data and quote data tothe quote and data vendors 120 and 122. Preferably, the matched tradedata and quote data describe recent market movements.

Through a control center 404, preferably an exchange or a member of theexchange oversees the reservation of products in the market. The controlcenter 404 may manually or automatically override the trade evaluationsystem 118 or perform a state change on any product, instrument,parameter, or group. The control center may view, configure, and programthe predetermined price thresholds and timing variables of FIG. 2 to anymarket condition or combination of market conditions just as it mayview, configure, and program the logic of FIG. 3 to such marketconditions.

To assure that market participants and the exchange are aware of thestatus of the market or any changes to thresholds, variables, or logic,preferably, the evaluation system 118 may provide a notice to the userinterfaces 120-126 (FIG. 1) and 404 (FIG. 4), the control center 404(FIG. 4), and any communication system. In some instances, each of theembodiments may provide selected notices only to the control center 404,allowing the exchange to notify the market of certain conditions ifneeded through a messaging system.

Because market participants may not be aware that a product or aninstrument is reserved due to the large volume of messages sent over anelectronic trading system or because the market participants are nolonger trading, the present system and method also may encompassindependent communication systems that are coupled to the tradeevaluation system 118 to convey information, warnings, or alerts aboutan instrument in a reserved state. Such systems can include devices thatsend and/or receive messages via telecommunication or wireless linkssuch as portable phones, personal digital assistants (“PDAs”), and/orelectronic mail devices, devices that send and/or receive images and canprint them on a tangible media such as faxes, etc. Preferably, thesesystems make market participants aware of the state of the market in anarrow timeframe.

The present system and method mitigates or prevents market spikes causedby the triggering, election, and trading of conditional orders. Thepresent system and method also mitigates or prevents market spikes andinaccurate quotes for implied spreads caused by the triggering,election, and trading of conditional orders on one or more relatedinstruments of a trading unit. An embodiment of the method may betranslated into a computer readable medium, programming instructions(e.g., code), or information that can be stored and retrieved from avolatile or non-volatile memory.

Any exchange, such as a futures exchange that enforces a no-bust rangeor another price range may use the method shown in FIG. 5. The methodmay be encoded in a signal bearing medium, a computer readable mediumsuch as a memory, programmed within a device such as one or moreintegrated circuits, or processed by a controller, a computer, a server,or a server cluster. If the methods are performed by code or software,the code or software may reside in a memory resident to or interfaced tothe trade matching system 110 and 112 of FIG. 1 or 3, a communicationinterface, or any other type of non-volatile or volatile memoryinterfaced or resident to the trade evaluation system 118 of FIG. 2. Thememory may include an ordered listing of executable instructions forimplementing logical functions. A logical function may be implementedthrough digital circuitry, through source code, or through analogcircuitry. The code or software may be embodied in any computer-readableor signal-bearing medium, for use by, or in connection with aninstruction executable system, apparatus, or device. Such a system mayinclude a computer-based system, a processor-containing system, oranother system that may selectively fetch instructions from aninstruction executable system, apparatus, or device that may alsoexecute instructions.

A “computer-readable medium,” “machine-readable medium,”“propagated-signal” medium, and/or “signal-bearing medium” includes anyand all systems, components, apparatuses, and/or devices that contain,store, communicate, propagate, and/or transport code or software for useby or in connection with an instruction executable system, component,apparatus, or device. The machine-readable medium may selectively be,but not limited to, an electronic, magnetic, optical, electromagnetic,infrared, or semiconductor system, apparatus, device, or propagationmedium. A non-exhaustive list of examples of a machine-readable mediumwould include: an electrical connection having one or more wires, aportable magnetic or optical disk, a volatile memory such as a RandomAccess Memory “RAM,” a Dynamic Random Access Memory (DRAM), a Read-OnlyMemory “ROM,” an Erasable Programmable Read-Only Memory (EPROM or Flashmemory), an electrical Erasable Programmable Read-Only Memory (EEPROM),and an optical fiber (optical). A machine-readable medium may alsoinclude a tangible medium upon which code or software is printed, as thecode or software may be translated into a high-level language that maybe compiled through a scanner, and/or interpreted or otherwiseprocessed. The processed medium may then be stored in a computer and/ormachine memory.

As shown in FIG. 5, a stop order is triggered and enters the market at alimit price or at a market price at act 502. In this embodiment, a stoporder, sometimes called a stop-loss order, or simply a stop, is an orderto buy or sell at a limit price when the market reaches a specifiedprice. A limit price is a specified price or a price that is morefavorable to the trader. A limit order to buy will be executed at orbelow the specified price limit. A limit order to sell will be executedat or above the specified price limit.

At act 504, the method compares an execution price to a no-bust rangethat is calculated separately for each product or instrument. Theno-bust range may comprise a synthetic price range or a last tradedprice plus or minus a no bust-range variable.

If the price of the trade lies within the no-bust range, the tradestands and open continuous trading is maintained at acts 506 and 508.The process will then be applied each time a stop order would create atrade. A price comparison is performed at each tradable price level ofthe market.

If the price of the trade falls outside of the no-bust range,preferably, the product is placed into a reserved state at acts 506 and510. Preferably, any implied spreads related to the product are alsoplaced into a reserved state or cleared at acts 506 and 510. Forexample, related products or instruments that form legs of an impliedspread order may be placed in reserve at acts 506 and 510. Upon itsreservation, a timer that is coupled to or resident to an automatedtrading engine is activated. A counter will also be activated to trackthe number of times an indicative opening price verification process isperformed.

In the illustrated embodiment, the counter is initialized to “1” at act512. Preferably, the counter cannot exceed a value that is retained in atable or a data structure. If more than one comparison to an indicativeopening price occurs, a varying price range (e.g., an expanded no-bustrange) will be determined for verification of an indicative openingprice. The varying price range may comprise a product of the no-bustrange and a multiplier. Preferably, the multiplier increasesincrementally or in multiples each time an indicative opening priceverification occurs.

Once a predetermined length of time lapses, an indicative opening priceand a price range are calculated and broadcast to the market through adata feed at acts 514 and 516. The indicative opening price represents aprice at which a product would trade upon an opening of a market. Anindicative opening price may comprise an equilibrium price that fallswithin an overlap of bid and offer prices.

A comparison of an indicative opening price to a calculated price rangeoccurs at act 518. If the indicative opening price lies within the pricerange, the process may verify that related products and instrumentswithin an implied trading unit are not being held in reserve at act 530.When all related products and instruments within an implied trading unitare verified as not being held in reserve, the market may open at act520, and trading begins at the indicative opening price or a marketprice. The process resumes when another stop order is triggered at act502.

If the indicative opening price lies outside of the price range, processvariables are incremented at acts 522 and 524, and the process continuesuntil a predetermined number of iterations is reached at act 526. When amaximum number of iterations are reached, the process may verify thatrelated products and instruments within an implied trading unit are notbeing held in reserve at act 530. Once related products within animplied trading unit are verified as not being held in reserve, aproduct may reopen at act 520 and the process resumes when another stoporder is triggered at act 502.

If a maximum number of iterations is not reached, the process resumeswhen the time variable is read or programmed at act 528 and anotherindicative opening price is calculated. At act 514, the indicativeopening price is a dynamic price that changes as orders are entered intothe market and pending orders are modified, and/or cancelled. Thepresent method continues until a predetermined number of iterations isreached or an external event occurs. An external event may include theclosing of the market or a manual market intervention.

The above-described embodiments scale well to large networks, to newproducts, or to the large volatility that occurs in the markets thattrade popular contracts. The embodiments may facilitate any exchangebetween buyers and sellers, including markets that exchange equities,debt, investment indices, and other investments as well as any commodityor combination or series of commodity contracts, such as bundles thatcan comprise the purchase of one of a series of consecutive contracts.

When the trade evaluation system 118 is integrated or linked to anautomated trading engine that matches spreads, all related spreads areautomatically reserved when the spread lies outside of a predeterminedthreshold. When reserved, all related spread instruments are reservedand any implied spreading becomes inactive. When the market is allowedto open, all spreads, including implied spreads, corresponding to anunderlying leg may open.

As shown in FIG. 4, the trade evaluation system 118 may couple a controlcenter 402. Through the control center an exchange administrator maytake an appropriate action on a spread and manually open correspondingspreads. Under these circumstances the implied spreading will remaininactive for a remainder of a trading session. An exchange administratormay also set a group of differing contracts to a pre-opening, takeappropriate action on the spread, and reset an opening for the group ofdiffering contracts.

The present embodiments described above provide exchanges and users witha flexible approach and structure that mitigates or prevent sharp risesor declines in market prices due to the triggering, election, andtrading of conditional orders. To further illustrate the presentembodiments, exemplary markets are described and illustrated.

In a first example, a price verification time is programmed to fiveseconds and the initial no-bust range is six.

ESM3 TON QTY BID ASK QTY TON TON 6 Stop (88075) 5 88475 87375 10 TON 1TON 7 Stop (87875) 5 88475 87475 5 TON 2 TON 8 Stop (87825) 5 8832587675 5 TON 3 TON 9 Stop (87675) 5 88475 87900 1 TON 4 TON 10 Stop(87525) 5 88475 88075 1 TON 5 TON 11 Stop (87375) 10 87900 TON 12 Stop(87375) 10 87675 Incoming 1 87375

With the market in a continuous trading state, the following sequenceoccurs when an Incoming—Buy of 1 @ 873.75 enters the market:

-   -   Trade 1 Incoming (1-lot) trades with TON 1 (1-lot) at 873.75;    -   TON 12-Stop (87375), TON 11-Stop (87375) are triggered by Trade        1;    -   Trade 2 TON 12 (9-lot) trades with TON 1 (9-lot) at 873.75;    -   Trade 3 TON 12 (1-lot) trades with TON 2 (1-lot) at 874.75;    -   Trade 4 TON 11 (4-lot) trades with TON 2 (4-lot) at 874.75;    -   Trade 5 TON 11 (5-lot) trades with TON 3 (5-lot) at 876.75;    -   TON 10-Stop (87525), TON 9-Stop (87675) are triggered by Trade        5;    -   Trade 6 TON 11 (1-lot) trades with TON 4 (1-lot) at 879.00; and    -   TON 8-Stop (87825) and TON 7-Stop (87875) are triggered by Trade        6.

The market is placed in a reserved state because the trade that wouldoccur at a price of 880.75 would violate the no bust range. The no bustrange for ES is currently 20 six. Since the stop iteration began with atrade price of 873.75, the market will not trade past a price of 879.75.The order book will display the following in a reserved state:

ESM3 TON # QTY BID ASK QTY TON # TON 6 Stop (88075) 5 88475 88075 1 TON5 TON 10 5 88475 TON 9 5 88475 TON 7 5 88475 TON 8 5 88325

After waiting a predetermined length of time, if the indicative openingprice is greater than twice the no bust range (12.00 from the originallast price), the market will remain in a reserved state for a secondtime iteration. In this example, the market will be allowed to open ator near the end of the five second delay and the following trade willtake place using normal indicative opening price logic:

-   -   Trade 7 TON 10 (1-lot) trades with TON 5 (1-lot) at 880.75; and    -   TON 6-Stop (88075) is triggered by Trade 7.

ESM3 QTY BID ASK QTY 19 88475 5 88325

In a second example, an imbalance condition occurs during execution of asingle conditional order. When a sell order enters the market for aquantity of 1 at 860.00, a cascade of stop orders is triggered. In thisexample, the minimum price that can be traded for this trading sessionis 854.00.

ESM3 TON QTY BID ASK QTY TON TON 1 1 86000 85300 6 Stop (86000) TON 6TON 2 1 85900 TON 3 1 85800 TON 4 2 85400 TON 5 1 85300 86000 1 Incoming

With the market in a continuous trading state, the following sequenceoccurs when an Incoming—Sell of 1 @ 860.00 enters the market:

-   -   Trade 1 Incoming (1-lot) trades with TON 1 (1-lot) at 860.00;    -   TON 6-Stop (86000) is triggered by Trade 1;    -   Trade 2 TON 2 (1-lot) trades with TON 6 (1-lot) at 859.00;    -   Trade 3 TON 3 (1-lot) trades with TON 6 (1-lot) at 858.00; and    -   Trade 4 TON 4 (2-lot) trades with TON 6 (2-lot) at 854.00.

The market is placed in a reserved state because the trade that wouldoccur at a price of 853.00 would violate the no bust range. Since thestop iteration began with a trade price of 860.00, the market will nottrade past a price of 854.00. The order book will display the followingin a reserved state:

ESM3 TON # QTY BID ASK QTY TON # TON 5 1 85300 85300 1 TON 6

After waiting the preset length of time, if the indicative opening priceis greater than twice the no bust range (12.00 from the original lastprice), the market will remain in a reserved state for a second timeiteration. In this example, the market will be allowed to open at ornear the end of the five second delay and the following trade will takeplace:

-   -   Trade 5 TON 5 (1-lot) trades with TON 6 (1-lot) at 853.00.

ESM3 QTY BID ASK QTY

In a third example, an upper no bust range violation occurs. Like theother examples, the price verification time is programmed to about afive second interval and the initial no-bust range is about six.

In this example, a buy order enters the market for a quantity of at873.75. The maximum price that can be traded for this trading iterationis 879.75.

ESM3 TON QTY BID ASK QTY TON TON 12 Stop (87375) 10 87675 87375 10 TON 1TON 11 Stop (87375) 10 87900 87475 5 TON 2 TON 10 Stop (87525) 5 8847587675 5 TON 3 TON 9 Stop (87675) 5 88475 87900 1 TON 4 TON 8 Stop(87825) 5 88325 88475 1 TON 5 TON 7 Stop (87875) 5 88475 TON 6 Stop(88075) 5 88475 Incoming1 1 87375

With the market in a continuous trading state, the following sequenceoccurs if Incoming1—Buy of 1 @ 873.75 enters the market:

-   -   Trade 1 Incoming1 (1-lot) trades with TON 1 (1-lot) at 873.75;    -   TON 12-Stop (87375), TON 11-Stop (87375) are triggered by Trade        1;    -   Trade 2 TON 11 (9-lot) trades with TON 1 (9-lot) at 873.75;    -   Trade 3 TON 11 (1-lot) trades with TON 2 (1-lot) at 874.75;    -   Trade 4 TON 12 (4-lot) trades with TON 2 (4-lot) at 874.75;    -   Trade 5 TON 12 (5-lot) trades with TON 3 (5-lot) at 876.75;    -   TON 10-Stop (87525), TON 9-Stop (87675) are triggered by Trade        5;    -   Trade 6 TON 10 (1-lot) trades with TON 4 (1-lot) at 879.00; and    -   TON 8-Stop (87825) and TON 7-Stop (87875) are triggered by Trade        6.

The market is placed in a reserved state because the trade that wouldoccur at a price of 884.75 would violate the no bust range. The no bustrange for ES is currently six. Since the stop iteration began with atrade price of 873.75, the market will not trade past a price of 879.75.The order book will display the following in a reserved state:

ESM3 TON QTY BID ASK QTY TON TON 10 4 88475 88475 1 TON 5 TON 9 5 88475TON 7 5 88475 TON 6 Stop (88075) 5 88475 Triggered in IOP TON 8 5 88325TON 12 1 87675

After waiting a predetermined length of time, if the indicative openingprice is greater than twice the no bust range (12.00 from the originallast price), the market will remain in a reserved state for a secondtime iteration. In this example, the market will be allowed to open ator near the end of the five second delay and the following trade willtake place:

-   -   Trade 7 TON 10 (1-lot) trades with TON 5 (1-lot) at 884.75; and    -   TON 6-Stop (88075) is triggered by Trade 7.

ESM3 QTY BID ASK QTY 18 88475 5 88325 1 87675

In a fourth example, a lower no bust range violation occurs. Like theother examples, the price verification time is programmed to about afive second interval and the initial no-bust range is about six.

In this example, a sell order enters the market for a quantity of 1 at860.75. The maximum price that can be traded for this trading iterationis 854.75.

ESM3 TON QTY BID ASK QTY TON TON 1 10 86075 85975 10 Stop (86075) TON 7TON 2 5 86000 85900 5 Stop (86000) TON 8 TON 3 5 85900 85875 5 Stop(85900) TON 9 TON 4 5 85875 85500 5 Stop (85875) TON 10 TON 5 1 8550085450 5 Stop (85500) TON 11 TON 6 10 85450 86075 1 Incoming1

With the market in a continuous trading state, the following sequenceoccurs if Incoming1—Sell of 1 @ 860.75 enters the market:

-   -   Trade 1 Incoming1 (1-lot) trades with TON 1 (1-lot) at 860.75;    -   TON 7-Stop (86075) is triggered by Trade 1;    -   Trade 2 TON 1 (9-lot) trades with TON 7 (9-lot) at 860.75;    -   Trade 3 TON 2 (1-lot) trades with TON 7 (1-lot) at 860.00;    -   TON 8-Stop (86000) is triggered by Trade 3;    -   Trade 4 TON 2 (4-lot) trades with TON 8 (4-lot) at 860.00;    -   Trade 5 TON 3 (1-lot) trades with TON 8 (1-lot) at 859.00;    -   TON 9-Stop (85900) is triggered by Trade 5;    -   Trade 6 TON 3 (4-lot) trades with TON 9 (4-lot) at 859.00;    -   Trade 7 TON 4 (1-lot) trades with TON 9 (1-lot) at 858.75;    -   TON 10-Stop (85875) is triggered by Trade 7;    -   Trade 8 TON 4 (4-lot) trades with TON 10 (4-lot) at 858.75;    -   Trade 9 TON 5 (1-lot) trades with TON 10 (1-lot) at 855.00; and    -   TON 11-Stop (85500) is triggered by Trade 8.

The market is placed in a reserved state because the trade that wouldoccur at a price of 854.50 would violate the no bust range. The no bustrange for ES is currently six. Since the stop iteration began with atrade price of 860.75, the market will not trade past a price of 854.75.The order book will display the following in a reserved state:

ESM3 TON QTY BID ASK QTY TON TON 6 10 85450 85450 5 TON 11

After waiting a predetermined length of time, if the indicative openingprice is greater than twice the no bust range (12.00 from the originallast price), the market will remain in a reserved state for a secondtime iteration. In this example, the market will be allowed to open ator near the end of the five second delay and the following trade willtake place:

-   -   Trade 10 TON 6 (5-lot) trades with TON 11 (5-lot) at 854.50.

ESM3 QTY BID ASK QTY 5 85450

In a fifth example, a manual intervention occurs. Like the otherexamples, the price verification time is programmed to about a fivesecond interval.

In this example, a sell order enters the market for a quantity of 1 at874.00. The minimum price that can be traded for this trading iterationis 868.00. The ESM3 market should be reserved when violating the no bustrange at 868.00. However, due to a manual intervention, the five-seconditeration variable is overridden. The instrument will re-open by amanually initiating of an opening command.

ESM3 TON QTY BID ASK QTY TON TON 1 10 87400 87325 10 Stop (87400) TON 7TON 2 5 87350 87300 5 Stop (87350) TON 8 TON 3 5 87300 87250 5 Stop(87300) TON 9 TON 4 5 87250 86800 5 Stop (87250) TON 10 TON 5 1 8725086750 5 Stop (87250) TON 11 TON 6 10 86750 86750 10 Stop (87250) TON 1287400 1 Incoming1

With the market in a continuous trading state, the following sequenceoccurs if Incoming1—Sell of 1 @ 874.00 enters the market.

-   -   Trade 1 Incoming1 (1-lot) trades with TON 1 (1-lot) at 874.00;    -   TON 7-Stop (87400) is triggered by Trade 1;    -   Trade 2 TON 1 (9-lot) trades with TON 7 (9-lot) at 874.00;    -   Trade 3 TON 2 (1-lot) trades with TON 7 (1-lot) at 873.50;    -   TON 8-Stop (873.50) is triggered by Trade 3;    -   Trade 4 TON 2 (4-lot) trades with TON 8 (4-lot) at 873.50;    -   Trade 5 TON 3 (1-lot) trades with TON 8 (1-lot) at 873.00;    -   TON 9-Stop (87300) is triggered by Trade 5;    -   Trade 6 TON 3 (4-lot) trades with TON 9 (4-lot) at 873.00;    -   Trade 7 TON 4 (1-lot) trades with TON 9 (1-lot) at 872.50;    -   TON 10-Stop (87250), TON 11-Stop (87250), and TON        12-Stop (87250) are triggered by Trade 7;    -   Trade 8 TON 4 (4-lot) trades with TON 10 (4-lot) at 872.50; and    -   Trade 9 TON 5 (1-lot) trades with TON 10 (1-lot) at 872.50.

The market is placed in a reserved state because the trade that wouldoccur at a price of 867.50 would violate the no bust range. The no bustrange for ES is currently six. Since the stop iteration began with atrade price of 874.00, the market will not trade past a price of 868.00.The order book will display the following in a reserved state:

ESM3 TON QTY BID ASK QTY TON TON 6 10 86750 86750 5 TON 11 86750 10 TON12

Due to a manual intervention, the instrument will not re-open until anexchange administrator performs an alternate manual intervention tore-open the market.

In a sixth example, a price comparison to a multiple of the no-bustrange occurs. When a sell order enters the market for a quantity of 1 at865.75, a cascade of stop orders is triggered. The minimum price thatmay be traded for the first trading iteration is 859.75 (1x) and theminimum price that may be traded for the second iteration is 853.75(2x). The ESM3 market will be reserved at 859.75 (one iteration) and853.75 (two iterations).

ESM3 TON QTY BID ASK QTY TON TON 1 10 86575 86550 10 Stop (86575) TON 8TON 2 5 86550 86450 5 Stop (86550) TON 9 TON 3 5 86500 86200 5 Stop(86500) TON 10 TON 4 5 86450 86250 5 Stop (86450) TON 11 TON 5 1 8625086150 5 Stop (86250) TON 12 TON 6 10 86200 85300 10 Stop (86200) TON 13TON 7 5 85300 86575 1 Incoming1

With the market in a continuous trading state, the following sequenceoccurs if Incoming1—Sell of 1 @ 865.75 enters market:

-   -   Trade 1 Incoming1 (1-lot) trades with TON 1 (1-lot) at 865.75;    -   TON 8-Stop (86575) is triggered by Trade 1;    -   Trade 2 TON 1 (9-lot) trades with TON 8 (9-lot) at 865.75;    -   Trade 3 TON 2 (1-lot) trades with TON 8 (1-lot) at 865.50;    -   TON 9-Stop (86550) is triggered by Trade 3;    -   Trade 4 TON 2 (4-lot) trades with TON 9 (4-lot) at 865.50;    -   Trade 5 TON 3 (1-lot) trades with TON 9 (1-lot) at 865.00;    -   TON 10 Stop (86500) is triggered by Trade 5;    -   Trade 6 TON 3 (4-lot) trades with TON 10 (4-lot) at 865.00;    -   Trade 7 TON 4 (1-lot) trades with TON 10 (1-lot) at 864.50;    -   TON 11-Stop (86450) is triggered by Trade 7;    -   Trade 8 TON 4 (4-lot) trades with TON 11 (4-lot) at 864.50;    -   Trade 9 TON 5 (1-lot) trades with TON 11 (1-lot) at 862.50;    -   TON 12-Stop (86250) is triggered by Trade 9;    -   Trade 10 TON 6 (5-lot) trades with TON 12 (5-lot) at 862.00;    -   TON 13-Stop (86200) is triggered by Trade 10; and    -   Trade 11 TON 6 (5-lot) trades with TON 13 (5-lot) at 862.00.

The market is placed in a reserved state because the trade that wouldoccur at a price of 853.00 would violate the no bust range. The no bustrange for ES is currently six. Since the stop iteration began with atrade price of 865.75, the market will not trade past a price of 859.75(1x) and 853.75 (2x). The order book will display the following in areserved state:

ESM3 TON QTY BID ASK QTY TON TON 7 5 85300 85300 5 TON 13

After waiting a predetermined length of time, if the indicative openingprice (853.00) is greater than twice the no bust range (12.00 from theoriginal last price), the market will remain in a reserved state for asecond time iteration. In this example, the market will repeat a seconditeration in a reserve state. After the second iteration, the marketwill again validate the indicative opening price and the market willre-open because the indicative opening price (853.00) is within the newprice range.

-   -   Trade 12 TON 7 (5-lot) trades with TON 13 (5-lot) at 853.00.

In a seventh example, an instrument is scheduled to close before theexpiration of the stop price validation variable. If the instrument iscurrently in a reserve state due to a no bust range violation, theinstrument will proceed to a closed state. The following sequenceillustrates this example:

-   -   Price logic is violated due to the triggering of a stop order        violating the no bust range.    -   The market is placed in a reserved state for an initial        iteration of a predetermined time.    -   While the timer is measuring the timing interval, a group        controller closes the instrument.    -   The stop price validation parameter is reset due to an override        by the group controller.

In an eighth example, an imbalance condition occurs during execution ofa single conditional order. The minimum price that can be traded forthis trading iteration is 854.00.

ESM3 TON QTY BID ASK QTY TON TON 1 1 86000 85300 6 Stop (86000) TON 6TON 2 1 85900 TON 3 1 85800 TON 4 2 85400 TON 5 1 85300 86000 1Incoming1

With the market in a continuous trading state, the following sequenceoccurs if Incoming1—Sell of 1 @ 860.00 enters the market:

-   -   Trade 1 Incoming1 (1-lot) trades with TON 1 (1-lot) at 860.00;    -   TON 6-Stop (86000) is triggered by Trade 1;    -   Trade 2 TON 2 (1-lot) trades with TON 6 (1-lot) at 859.00;    -   Trade 3 TON 3 (1-lot) trades with TON 6 (1-lot) at 858.00; and    -   Trade 4 TON 4 (2-lot) trades with TON 6 (2-lot) at 854.00.

The market is placed in a reserved state because the trade that wouldoccur at a price of 853.00 would violate the no bust range. The no bustrange for ES is currently six. Since the stop iteration began with atrade price of 860.00, the market will not trade past a price of 854.00.The order book will display the following in a reserved state:

ESM3 TON QTY BID ASK QTY TON TON 5 1 85300 85300 2 TON 6

After waiting a predetermined length of time, if the indicative openingprice is greater than twice the no bust range (12.00 from the originallast price), the market will remain in a reserved state for a secondtime iteration. In this example, the market will be allowed to open atthe end of the five second delay and the following trade will takeplace:

-   -   Trade 5 TON 5 (1-lot) trades with TON 6 (1-lot) at 853.00.

ESM3 QTY BID ASK QTY 85300 1

In a ninth example, the market is in a reserved state. Additional ordersare entered which alter the indicative opening price and allow themarket to open. If the new limit orders were not entered, the marketwould have remained reserved due to violation of the no bust limit.

ESM3 TON QTY BID ASK QTY TON TON 21 Stop (85400) 5 85525 85400 1 TON 1TON 20 Stop (85525) 5 85625 85525 5 TON 2 TON 19 Stop (85625) 5 8577585625 5 TON 3 TON 18 Stop (85775) 5 85950 85775 5 TON 4 TON 17 Stop(85950) 5 86025 85950 5 TON 5 TON 16 Stop (86025) 5 86350 86025 5 TON 6TON 10 Stop (86550) 5 86600 86600 5 TON 7 TON 9 Stop (86550) 5 8665086650 5 TON 8 Incoming1 1 85400

With the market in a continuous trading state, the following sequenceoccurs if Incoming1—Buy of 1 @ 854.00 enters the market:

-   -   Trade 1 Incoming1 (1-lot) trades with TON 1 (1-lot) at 854.00;    -   TON 21-Stop (85400) is triggered by Trade 1;    -   Trade 2 TON 21 (5-lot) trades with TON 2 (5-lot) at 855.25;    -   TON 20-Stop (85525) is triggered by Trade 2;    -   Trade 3 TON 20 (5-lot) trades with TON 3 (5-lot) at 856.25;    -   TON 19-Stop (85625) is triggered by Trade 3;    -   Trade 4 TON 19 (5-lot) trades with TON 4 (5-lot) at 857.75;    -   TON 18-Stop (85775) is triggered by Trade 4;    -   Trade 5 TON 18 (5-lot) trades with TON 5 (5-lot) at 859.50; and    -   TON 17-Stop (85950) is triggered by Trade 5.

The market is placed in a reserved state because the trade that wouldoccur at a price of 860.25 would violate the no bust range. The no bustrange for ES is currently six. Since the stop iteration began with atrade price of 854.00, the market will not trade past a price of 860.00.The order book will display the following in a reserved state:

ESM3 TON QTY BID ASK QTY TON TON 17 5 86025 86025 5 TON 6 Incoming3 586650 86550 5 Incoming4 Incoming2 5 86650 86550 5 Incoming5 TON 10 Stop(86550) 5 86600 86600 5 TON 7 TON 9 Stop (86550) 5 86650 86650 5 TON 8

As shown, during the reserve state, new orders were received. Due to theincoming orders, the indicative opening price is now 866.00. Afterwaiting a predetermined length of time, if the indicative opening price(866.00) is greater than twice the no bust range (12.00 from theoriginal last price), the market will remain in a reserved state for asecond iteration. In this example, the market will be allowed to re-openbecause the indicative opening price (866.00) is within the new range(866.00).

-   -   TON 10-Stop (86550) and TON 9-Stop (86550) is triggered by the        indicative opening price;    -   Trade 6 TON 10 (5-lot) trades with Incoming4 (5-lot) at 866.00;    -   Trade 7 TON 9 (5-lot) trades with Incoming5 (5-lot) at 866.00;    -   Trade 8 Incoming3 (5-lot) trades with TON 7 (5-lot) at 866.00;        and    -   Trade 9 Incoming2 (5-lot) trades with TON 6 (5-lot) at 866.00.

ESM3 QTY BID ASK QTY 5 86025 86650 5

In a tenth example, the market is reserved. The indicative opening priceis a better bid that violates the no bust range and the market remainsreserved.

ESM3 TON QTY BID ASK QTY TON TON 11 Stop (85400) 5 85525 85400 1 TON 1TON 10 Stop (85525) 5 85625 85525 5 TON 2 TON 9 Stop (85625) 5 8577585625 5 TON 3 TON 8 Stop (85775) 5 85950 85775 5 TON 4 TON 7 Stop(85950) 5 86625 85950 5 TON 5 86625 5 TON 6 Incoming1 1 85400

With the market in a continuous trading state, the following sequenceoccurs if Incoming1—Buy of 1 @ 854.00 enters the market:

-   -   Trade 1 Incoming1 (1-lot) trades with TON 1 (1-lot) at 854.00;    -   TON 11-Stop (85400) is triggered by Trade 1;    -   Trade 2 TON 11 (5-lot) trades with TON 2 (5-lot) at 855.25;    -   TON 10-Stop (85525) is triggered by Trade 2;    -   Trade 3 TON 10 (5-lot) trades with TON 3 (5-lot) at 856.25;    -   TON 9-Stop (85625) is triggered by Trade 3;    -   Trade 4 TON 9 (5-lot) trades with TON 4 (5-lot) at 857.75;    -   TON 8-Stop (85775) is triggered by Trade 4;    -   Trade 5 TON 8 (5-lot) trades with TON 5 (5-lot) at 859.50; and    -   TON 7-Stop (85950) is triggered by Trade 5.

The market is placed in a reserved state because the trade that wouldoccur at a price of 866.25 would violate the no bust range. The no bustrange for ES is currently six. Since the stop iteration began with atrade price of 854.00, the market will not trade past a price of 860.00.The order book will display the following in a reserved state:

ESM3 TON QTY BID ASK QTY TON TON 7 5 86625 86625 5 TON 6

During the reserved state, the remaining offer is cancelled (TON 6) anda new order is entered at a price of 867.00. The indicative openingprice is currently an 867.00B (better bid).

ESM3 TON QTY BID ASK QTY TON Incoming2 5 86700 TON 7 5 86625

After waiting a predetermined length of time, the indicative openingprice (867.00B) is outside the no bust range of 866.00(2×6.00) and themarket will remain in reserved state for a second iteration. After thesecond iteration is exhausted, the indicative opening price lies withinthe no bust range and the market opens.

In an eleventh example, the market is reserved. Upon validation of anindicative opening price (an indicative opening price that is a betteroffer (A)), the market remains reserved because the indicative openingprice violates the no bust range.

ESM3 TON QTY BID ASK QTY TON TON 1 1 86525 86450 5 Stop (86525) TON 7TON 2 5 86450 86400 5 Stop (86450) TON 8 TON 3 5 86400 86300 5 Stop(86400) TON 9 TON 4 5 86300 85300 5 Stop (86300) TON 10 TON 5 5 8530086525 1 Incoming1

With the market in a continuous trading state, the following sequenceoccurs if Incoming1—Sell of 1 @ 865.25 enters the market:

-   -   Trade 1 Incoming1 (1-lot) trades with TON 1 (1-lot) at 865.25;    -   TON 7-Stop (86525) is triggered by Trade 1;    -   Trade 2 TON 2 (5-lot) trades with TON 7 (5-lot) at 864.50;    -   TON 8-Stop (86450) is triggered by Trade 2;    -   Trade 3 TON 3 (5-lot) trades with TON 8 (5-lot) at 864.00;    -   TON 9-Stop (86400) is triggered by Trade 3;    -   Trade 4 TON 4 (5-lot) trades with TON 9 (5-lot) at 863.00; and    -   TON 10-Stop (86300) is triggered by Trade 4.

The market is placed in a reserved state because the trade that wouldoccur at a price of 853.00 would violate the no bust range. The no bustrange for ES is currently six. Since the stop iteration began with atrade price of 865.25, the market will not trade past a price of 859.25.The order book will display the following in a reserved state:

ESM3 TON QTY BID ASK QTY TON TON 5 5 85300 85300 5 TON 10

During the reserved state, the remaining bid is cancelled (TON 5) and abetter offer enters the market. The indicative opening price iscurrently an 852.00A (better offer).

ESM3 TON QTY BID ASK QTY TON 85300 5 TON 10 85200 5 TON 11

After waiting a predetermined length of time, the indicative openingprice (852.00) is outside the no bust range of 853.25(2×6.00) and themarket will remain in reserved state for a second iteration. After thesecond iteration is exhausted, the indicative opening price will lieinside the no bust range and the market opens.

In the twelfth example, the market is reserved. Upon validation of anindicative opening price, (an indicative opening price that is a betterbid (B)) the market opens because the indicative opening price no longerviolates the no bust range.

ESM3 TON QTY BID ASK QTY TON TON 11 Stop (85400) 5 85525 85400 1 TON 1TON 10 Stop (85525) 5 85625 85525 5 TON 2 TON 9 Stop (85625) 5 8577585625 5 TON 3 TON 8 Stop (85775) 5 85950 85775 5 TON 4 TON 7 Stop(85950) 5 86025 85950 5 TON 5 86025 5 TON 6 Incoming1 1 85400

With the market in a continuous trading state, the following sequenceoccurs if Incoming1—Buy of 1 @ 854.00 enters the market:

-   -   Trade 1 Incoming1 (1-lot) trades with TON 1 (1-lot) at 854.00;    -   TON 11-Stop (85400) is triggered by Trade 1;    -   Trade 2 TON 11 (5-lot) trades with TON 2 (5-lot) at 855.25;    -   TON 10-Stop (85525) is triggered by Trade 2;    -   Trade 3 TON 10 (5-lot) trades with TON 3 (5-lot) at 856.25;    -   TON 9-Stop (85625) is triggered by Trade 3;    -   Trade 4 TON 9 (5-lot) trades with TON 4 (5-lot) at 857.75;    -   TON 8-Stop (85775) is triggered by Trade 4;    -   Trade 5 TON 8 (5-lot) trades with TON 5 (5-lot) at 859.50; and    -   TON 7-Stop (85950) is triggered by Trade 5.

The market is placed in a reserved state because the trade that wouldoccur at a price of 860.25 would violate the no bust range. The no bustrange for ES is currently six. Since the stop iteration began with atrade price of 854.00, the market will not trade past a price of 860.00.The order book will display the following in a reserved state:

ESM3 TON QTY BID ASK QTY TON TON 7 5 86025 86025 5 TON 6

During the reserved state, the remaining offer is cancelled (TON 6).After waiting a preset length of time, the indicative opening price willbe the bid price (860.25) which is no longer in violation of the no bustrange (866.00) and the market opens.

In a thirteenth example, the market is reserved. Upon a validation ofthe indicative opening price (an indicative opening price that is abetter offer (A) that no longer violates the no bust range) the marketopens.

ESM3 TON QTY BID ASK QTY TON TON 1 1 86525 86450 5 Stop (86525) TON 7TON 2 5 86450 86400 5 Stop (86450) TON 8 TON 3 5 86400 86300 5 Stop(86400) TON 9 TON 4 5 86300 85900 5 Stop (86300) TON 10 TON 5 5 8590086525 1 Incoming1

With the market in a continuous trading state, the following sequenceoccurs if Incoming1—Sell of 1 @ 865.25 enters the market:

-   -   Trade 1 Incoming1 (1-lot) trades with TON 1 (1-lot) at 865.25;    -   TON 7-Stop (86525) is triggered by Trade 1;    -   Trade 2 TON 2 (5-lot) trades with TON 7 (5-lot) at 864.50;    -   TON 8-Stop (86450) is triggered by Trade 2;    -   Trade 3 TON 3 (5-lot) trades with TON 8 (5-lot) at 864.00;    -   TON 9-Stop (86400) is triggered by Trade 3;    -   Trade 4 TON 4 (5-lot) trades with TON 9 (5-lot) at 863.00; and    -   TON 10-Stop (86300) is triggered by Trade 4.

The market is placed in a reserved state because the trade that wouldoccur at a price of 859.00 would violate the no bust range. The no bustrange for ES is currently six. Since the stop iteration began with atrade price of 865.25, the market will not trade past a price of 859.25.The order book will display the following in a reserved state:

ESM3 TON QTY BID ASK QTY TON TON 5 5 85900 85900 5 TON 10

During the reserved state, the remaining bid is cancelled (TON 5). Afterwaiting a preset length of time, the indicative opening price is theoffer price (859.00) which is no longer in violation of the no bustrange (853.25) and the market opens.

When a buy order enters the market for a quantity of 1 at 861.00, acascade of stop orders is triggered in a fourteenth example.

ESM3 TON QTY BID ASK QTY TON TON 6 Stop (86100) 5 86250 86100 1 TON 1TON 7 Stop (86250) 5 86350 86250 5 TON 2 TON 8 Stop (86350) 5 8645086350 5 TON 3 TON 9 Stop (86450) 5 86850 86450 5 TON 4 TON 10 Stop(86450) 5 86875 86800 5 TON 5 TON 11 Stop (86450) 10 86900 Incoming1 TON12 1 86100

With the market in a continuous trading state, the following sequenceoccurs if Incoming1—Buy of 1 @ 861.00 enters the market:

-   -   Trade 1 Incoming 1, TON 12 (1-lot) trades with TON 1 (1-lot) at        861.00;    -   TON 6-Stop (86100) is triggered by Trade 1;    -   Trade 2 TON 2 (5-lot) trades with TON 6 (5-lot) at 862.50;    -   TON 7-Stop (86250) is triggered by Trade 2;    -   Trade 3 TON 3 (5-lot) trades with TON 7 (5-lot) at 863.50;    -   TON 8-Stop (86350) is triggered by Trade 3;    -   Trade 4 TON 4 (5-lot) trades with TON 8 (5-lot) at 864.50; and    -   TON 9-Stop (86450), TON 10-Stop (86450) and TON 11-Stop (86450)        are triggered by Trade 4.

The market is placed into a reserved state because the trade that wouldoccur at a price of 868.50 would violate the no bust range. The no bustrange for ES is currently six. Since the stop iteration began with atrade price of 861.00, the market will not trade past a price of 867.00.The order book will display the following in a reserved state:

ESM3 TON QTY BID ASK QTY TON Incoming2 indicative 10 86875 86875 12 TON5 opening price TON 9 5 86850 TON 10 5 86875 TON 11 5 86900

During the first iteration, a second incoming order is entered whichgenerates a bias on the bid side of the market. The indicative openingprice generated after the second incoming order enters a 10-lot on thebid side and a 12-lot on the offer side at a price of 868.75. Afterwaiting a predetermined length of time, if the indicative opening priceis greater than twice the no bust range (12.00 from the original lastprice), the market will remain in a reserved state for a second timeiteration. In this example, the market opens at the end of a five seconddelay because the indicative opening price (868.75) is not outside theno bust range (873.00). The following trades then take place:

-   -   Trade 7 TON 10 (5-lot) trades with TON 5 (5-lot) at 868.75;    -   Trade 8 TON 11 (5-lot) trades with TON 5 (5-lot) at 868.75; and    -   Trade 9 Incoming2 (2-lot) trades with TON 5 (2-lot) at 868.75.

ESM3 QTY BID ASK QTY 8 86875 5 86850

When a sell order enters the market for a quantity of 1 at 861.00, acascade of stop orders is triggered in a fifteenth example. The minimumprice that can be traded in this trading iteration is 859.25.

ESM3 TON QTY BID ASK QTY TON TON 1 1 865.25 864.50 5 Stop (865.25) TON 6TON 2 5 864.50 864.00 5 Stop (864.50) TON 7 TON 3 5 864.00 863.00 5 Stop(864.00) TON 8 TON 4 5 863.00 859.00 5 Stop (863.00) TON 9 TON 5 12859.00 858.50 5 Stop (863.00) TON 10 858.00 5 Stop (863.00) TON 11Incoming1 1 865.25 TON 12

With the market in a continuous trading state, the following sequenceoccurs if Incoming1—Buy of 1 @ 865.25 enters the market:

-   -   Trade 1 Incoming1, TON 12 (1-lot) trades with TON 1 (1-lot) at        865.25;    -   TON 6 (865.25) is triggered by Trade 1;    -   Trade 2 TON 2 (5-lot) trades with TON 6 (5-lot) at 864.50;    -   TON 7 (864.50) 864.00 is triggered by Trade 2;    -   Trade 3 TON 3 (5-lot) trades with TON 7 (5-lot) at 864.00;    -   TON 8 (864.00) is triggered by Trade 3;    -   Trade 4 TON 4 (5-lot) trades with TON 8 (5-lot) at 863.00; and    -   TON 9 (86300), TON 10 (86300) and TON 11 (86300) are triggered        by Trade 4.

The market is placed into a reserved state because the trade that wouldoccur at a price of 859.00 would violate the no bust range. The no bustrange for ES is currently six. Since the stop iteration began with atrade price of 865.25, the market will not trade past a price of 859.25.The order book will display the following in a reserved state:

ESM3 TON QTY BID ASK QTY TON TON 5 12 859.00 859.00 5 TON 9 858.75 10Incoming2 858.50 5 TON 10 858.00 5 TON 11

During the first iteration a second incoming order entered generates abias on the sell side of the market. The indicative opening pricegenerated after the second incoming order enters a 12-lot on the bidside and 10-lot on the offer side with an indicative opening price of858.75. After waiting a predetermined length of time, if the indicativeopening price is greater than twice the no bust range (12.00 from theoriginal last price), the market will remain in a reserved state for asecond time iteration. In this example, the market will open at the endof a five second delay because the indicative opening price (858.75) isnot outside the no bust range (853.25).

-   -   Trade 7 TON 10 (5-lot) trades with TON 5 (5-lot) at 858.75;    -   Trade 8 TON 11 (5-lot) trades with TON 5 (5-lot) at 858.75; and    -   Trade 9 Incoming2 (2-lot) trades with TON 5 (2-lot) at 858.75.

In a sixteenth example, a stop order cascade occurs in the ESM3 marketand there is a related product ESU3 that is in an implied trading unitwith the ESM3 product. In this example, the ESM3 market is allowed tore-open and trade outright non-implied orders, but does not enableimplied order trading until the related product ESU3 is no longer beingheld in reserve. A price verification time is programmed to five secondsand the initial no-bust range is six.

ESM3 TON QTY BID ASK QTY TON TON 6 Stop (88075) 5 88475 87375 10 TON 1TON 7 Stop (87875) 5 88475 87475 5 TON 2 TON 8 Stop (87825) 5 8832587675 5 TON 3 TON 9 Stop (87675) 5 88475 87900 1 TON 4 TON 10 Stop(87525) 5 88475 88075 1 TON 5 TON 11 Stop (87375) 10 87900 TON 12 Stop(87375) 10 87675 Incoming 1 87375

With the market in a continuous trading state, the following sequenceoccurs when an Incoming—Buy of 1 @ 873.75 enters the ESM3 market:

-   -   Trade 1 Incoming (1-lot) trades with TON 1 (1-lot) at 873.75;    -   TON 12-Stop (87375), TON 11-Stop (87375) are triggered by Trade        1;    -   Trade 2 TON 12 (9-lot) trades with TON 1 (9-lot) at 873.75;    -   Trade 3 TON 12 (1-lot) trades with TON 2 (1-lot) at 874.75;    -   Trade 4 TON 11 (4-lot) trades with TON 2 (4-lot) at 874.75;    -   Trade 5 TON 11 (5-lot) trades with TON 3 (5-lot) at 876.75;    -   TON 10-Stop (87525), TON 9-Stop (87675) are triggered by Trade        5;    -   Trade 6 TON 11 (1-lot) trades with TON 4 (1-lot) at 879.00; and    -   TON 8-Stop (87825) and TON 7-Stop (87875) are triggered by Trade        6.

The ESM3 market is placed in a reserved state because the trade thatwould occur at a price of 880.75 would violate the no bust range. The nobust range for ESM3 is currently six. Since the stop iteration beganwith a trade price of 873.75, the ESM3 market will not trade past aprice of 879.75. The ESM3 order book will display the following in areserved state:

ESM3 TON # QTY BID ASK QTY TON # TON 6 Stop (88075) 5 88475 88075 1 TON5 TON 10 5 88475 TON 9 5 88475 TON 7 5 88475 TON 8 5 88325

The related ESU3 product that is in the implied trading unit with ESM3also has disabled implied order trading due to the reservation of theESM3 market. The ESU3 market also experiences a stop loss cascade whilethe ESM3 market is in a reserved state, in this example. After waiting apredetermined length of time, if the indicative opening price of ESM3 isgreater than twice the no bust range (12.00 from the original lastprice), the ESM3 market will remain in a reserved state for a secondtime iteration.

However, the ESM3 market will be allowed to open at or near the end ofthe five second delay because the indicative opening price of ESM3 isnot greater than twice the no bust range, pending verification thatrelated products in implied trading units are not being held in reserve.The related product ESU3 is being held in reserve in this example, sothe ESM3 market opens, but only non-implied trading of outright ordersis allowed and the implied order trading remains disabled. After therelated ESU3 market reopens, the implied order market reopens for theimplied trading unit including ESM3 and ESU3. In addition, the followingtrade will take place in the ESM3 market after reopening, using normalindicative opening price logic:

-   -   Trade 7 TON 10 (1-lot) trades with TON 5 (1-lot) at 880.75; and    -   TON 6-Stop (88075) is triggered by Trade 7.

ESM3 QTY BID ASK QTY 19 88475 5 88325

In a seventeenth example, a price comparison to a multiple of theno-bust range occurs in the ESM3 market. There is a related product ESU3that is in an implied trading unit with the ESM3 product. In thisexample, the ESU3 market does not reopen until after the ESM3 market isno longer in reserve. When a sell order enters the ESM3 market for aquantity of 1 at 865.75, a cascade of stop orders is triggered. Theminimum price that may be traded for the first trading iteration is859.75 (1x) and the minimum price that may be traded for the seconditeration is 853.75 (2x). The ESM3 market will be reserved at 859.75(one iteration) and 853.75 (two iterations).

ESM3 TON QTY BID ASK QTY TON TON 1 10 86575 86550 10 Stop (86575) TON 8TON 2 5 86550 86450 5 Stop (86550) TON 9 TON 3 5 86500 86200 5 Stop(86500) TON 10 TON 4 5 86450 86250 5 Stop (86450) TON 11 TON 5 1 8625086150 5 Stop (86250) TON 12 TON 6 10 86200 85300 10 Stop (86200) TON 13TON 7 5 85300 86575 1 Incoming1

With the ESM3 market in a continuous trading state, the followingsequence occurs if Incoming1—Sell of 1 @ 865.75 enters the ESM3 market:

-   -   Trade 1 Incoming1 (1-lot) trades with TON 1 (1-lot) at 865.75;    -   TON 8-Stop (86575) is triggered by Trade 1;    -   Trade 2 TON 1 (9-lot) trades with TON 8 (9-lot) at 865.75;    -   Trade 3 TON 2 (1-lot) trades with TON 8 (1-lot) at 865.50;    -   TON 9-Stop (86550) is triggered by Trade 3;    -   Trade 4 TON 2 (4-lot) trades with TON 9 (4-lot) at 865.50;    -   Trade 5 TON 3 (1-lot) trades with TON 9 (1-lot) at 865.00;    -   TON 10 Stop (86500) is triggered by Trade 5;    -   Trade 6 TON 3 (4-lot) trades with TON 10 (4-lot) at 865.00;    -   Trade 7 TON 4 (1-lot) trades with TON 10 (1-lot) at 864.50;    -   TON 11-Stop (86450) is triggered by Trade 7;    -   Trade 8 TON 4 (4-lot) trades with TON 11 (4-lot) at 864.50;    -   Trade 9 TON 5 (1-lot) trades with TON 11 (1-lot) at 862.50;    -   TON 12-Stop (86250) is triggered by Trade 9;    -   Trade 10 TON 6 (5-lot) trades with TON 12 (5-lot) at 862.00;    -   TON 13-Stop (86200) is triggered by Trade 10; and    -   Trade 11 TON 6 (5-lot) trades with TON 13 (5-lot) at 862.00.

The ESM3 market is placed in a reserved state because the trade thatwould occur at a price of 853.00 would violate the no bust range. The nobust range for ESM3 is currently six. Since the stop iteration beganwith a trade price of 865.75, the ESM3 market will not trade past aprice of 859.75 (1x) and 853.75 (2x). The ESM3 order book will displaythe following in a reserved state:

ESM3 TON QTY BID ASK QTY TON TON 7 5 85300 85300 5 TON 13

The related ESU3 product that is in the same implied trading unit asESM3 is also being held in reserve due to a stop loss cascade in theESU3 market that occurred within the five second price verificationtime. After waiting a predetermined length of time, if the indicativeopening price (853.00) is greater than twice the no bust range (12.00from the original last price), the market will remain in a reservedstate for a second time iteration.

The ESM3 market will repeat a second iteration in a reserve statebecause the indicative opening price is greater than twice the no bustrange. In this example, the related product ESU3 is being held inreserve because the ESU3 market also had a stop loss cascade, but theESU3 market reopens after a single iteration. However, the ESU3 marketmay only re-enable implied order matching if it is verified that relatedproducts in implied trading units are not being held in reserve. In thisexample, the ESM3 product, related to ESU3 in an implied trading unit,is still in reserve due to its second iteration in a reserve state.Therefore, the ESU3 market may reopen but only outright non-impliedorders may be matched until the ESM3 market is no longer being held inreserve.

After the second iteration of the ESM3 market in a reserve state, theESM3 market will again validate the indicative opening price. The ESM3market will re-open because the indicative opening price (853.00) iswithin the new price range. Because the related ESU3 market is no longerbeing held in reserve, implied order trading may be ren-enabled for thetrading unit. The following trade may then take place in the ESM3market:

-   -   Trade 12 TON 7 (5-lot) trades with TON 13 (5-lot) at 853.00.

While some embodiments of the invention have been described, it shouldbe apparent that many more embodiments and implementations are possibleand are within the scope of this invention. It is intended that theforegoing detailed description be regarded as illustrative rather thanlimiting, and that it be understood that it is the following claims,including all equivalents, that are intended to define the spirit andscope of this invention.

1. A computer readable medium storing instructions which when executedmitigate the effects of a market spike caused by the triggering ofconditional orders for products within a trading unit, the computerreadable medium comprising: an evaluation logic that monitors orderssubmitted to an automated trading engine in an automated matchingsystem, the evaluation logic configured to compare an execution price ofa conditional order to a predetermined price range; a delay logic thatdelays a matching of the orders submitted to the automated tradingengine when the execution price lies outside of the predetermined pricerange; a pricing logic that derives an opening price to be used by theautomated trading engine; a timing logic that measures a time intervalused to further delay a matching of the orders until the opening priceis within a second predetermined price range; and a verification logicthat verifies that legs of an implied order are not in a reserved state,the verification logic configured to delay a matching of implied ordersuntil all legs of the implied order are verified as not in the reservedstate.
 2. The system of claim 1 wherein the predetermined price range isbased on a no-bust range.
 3. The system of claim 1 wherein thepredetermined price ranges comprise a varying price range and the timeinterval comprises a varying time interval, the varying price range andthe varying time interval based on a time of day and a marketvolatility.
 4. The system of claim 1 wherein the second predeterminedprice range comprises a multiple of a no-bust range.
 5. The system ofclaim 1 wherein the opening price comprises an equilibrium price thatfalls substantially between the prices of the pending bids and theprices of the pending offers.
 6. The system of claim 1 furthercomprising a matching system coupled to the evaluation logic, thematching system comprising one or more matching systems selected fromthe group comprising a first in, first out system, an allocation system,and a hybrid of a price and time priority.
 7. The system of claim 1wherein the time interval varies with a product.
 8. The system of claim1 wherein the legs of the implied order comprise orders for relatedproducts within the trading unit.
 9. The system of claim 1 wherein theconditional order comprises a stop order.
 10. The system of claim 1,wherein at least one of the implied orders is generated from an outrightcompound order.
 11. The system of claim 1, wherein at least one of theimplied orders is generated from a plurality of outright orders.
 12. Amethod of mitigating the effect of a market spike caused by thetriggering of conditional orders for products within a trading unit,comprising: monitoring, using an order processor, orders submitted to anautomated trading engine in an automated matching system; comparing,using the order processor, an execution price of a conditional order toa predetermined price range; delaying a matching of orders submitted tothe automated trading engine when the execution price of the conditionalorder lies outside of the predetermined price range; deriving an openingprice to be used by the automated trading engine; delaying a matching ofthe orders until the opening price lies within a second predeterminedprice range or a time period lapses; verifying that legs of an impliedorder are not in a reserved state; and delaying a matching of impliedorders until all legs of the implied order are verified as not in thereserved state.
 13. The method of claim 12 wherein the predeterminedprice range is based on a no-bust range and the second predeterminedprice range comprises a multiple of a no-bust range.
 14. The method ofclaim 12 wherein the predetermined price range comprises a varying pricerange that changes with a time of day or a market volatility.
 15. Themethod of claim 12 wherein the opening price comprises an equilibriumprice that falls substantially between the prices of the pending bidsand the prices of the pending offers.
 16. The method of claim 12 whereinthe opening price is derived to fall substantially within an overlap ofpending bid and offer prices.
 17. The method of claim 12 wherein theconditional order comprises a stop order.
 18. The method of claim 12,wherein at least one of the implied orders is generated from an outrightcompound order.
 19. The method of claim 12, wherein at least one of theimplied orders is generated from a plurality of outright orders.